My guess is the manufacturer expetcts you to solder that pin header into the board and use a connector to attach the wires. But if you mean it for a single stationary purpose or are confident you won´t break the pads by soldering wires to the board directly and pulling on the cables you don´t need to use it.

1) As single pins, they are used as a test point in a circuit, handy for clipping a scope probe to.
2) As a pair, they are used as user selectable jumpers, for example, to connect a signal to GND.
3) As a pair, used to break a circuit so that you can insert an ammeter in order to measure current.
4) As three pins, used with a jumper as a single pole, 2-way selector switch to select one of two options, for example to select between two gain resistors or two timing capacitors.
5) As multiple pins to connect flat ribbon cable from one board to another.
6) As multiple pins to connect from a mother board to a daughter board.
7) As general interconnects between circuits, so that you can easily take things apart and put together again.
8) As JTAG or programming headers so you can program your MCU chip in circuit.

These things are really handy and you don't want to be without them.

Tip: Every time you see an old PC being thrown out, cut and save the mating sockets with their wires that are used to connect to LEDs, RESET, SPEAKER, etc. They come in really handing in projects.

I am using them right now.
I have a TI MSP430 Launchpad in front of me.
I have two 10-pin headers on both sides of the board for prototyping.
A 3-pin header to connect to VCC, GND, GND.
A 2x5 pin header to connect from the evaluation board to my own breadboard to program the target MSP430G2553, via a ribbon cable and a 5-pin header.
Then I have a 2x16 line LCD plugged into the breadboard via a 14-pin header.

I don't have a camera here with me but I will see if I can find a picture for you.

Here is a photo of the MSP430 LaunchPad, showing two rows of 10-pin headers and one 3-pin header for VCC, GND connections. Where you see the five black jumpers at VCC, TEST, RST, RXD, TXD, I have removed the jumpers and connected my own ribbon cable which goes to my breadboard in order to program my target MCU chip.

Well it came with an amplifier kit. And since I cut the wires from the speakers and soldered wires to the mono jack, I don't really see their intended use. Thanks guys for the help. I may use them for future projects.